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Quantitative Analyst Interview Questions
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Three candidates voting problem, linear regression
1. All else equal, which one has higher convexity, futures or forwards? 2. When does the delta of a call option equal to 1? 3. 67 times 53 4. dice rolling questions
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Virtual function and pure virtual function.
1) 100 ants are uniformly placed on a [0,1] line, and they randomly travel toward either 0 or 1. When one collides with the other, they exchange directions. Assuming that each ant travels at the speed of 1 per hour, how long would it take for the last ant to reach the either end? 2) What is E(exp(Wt)), E((Wt)^4),... where Wt is a standard Brownian? 3) What is a martingale? Is E(Wt^2-t) a martingale? why? 4) How would you simulate a covariance matrix of 1,000 stocks where each pair has nonzero correlation? 5) Write down a black-scholes equations. What is delta, and how does it change when it approaches the maturity?
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In London, temperature is now at x degrees Celsius. Imagine someone wants to buy an option from you. The payoff of the option is the difference in temperature between today and in exactly 1 year. How would you price this option? Example: Temperature today: 7°C, temperature at the same day in one year 8°C. Payoff: 1 USD
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